搜索结果: 1-13 共查到“世界经济学 time series”相关记录13条 . 查询时间(0.248 秒)
A Comprehensive Analysis of Time Series Segmentation on the Japanese Stock Prices
Tokyo Stock Exchange Jensen-Shannon divergence volatility
2012/6/2
This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from January 4, 2000 to ...
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/23
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/23
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on f...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
Fractional derivatives of random walks: Time series with long-time memory
Fractional derivatives random walks Time series long-time memory
2010/12/20
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochas...
Using self-similarity and renormalization group to analyze time series
Using self-similarity renormalization group analyze time series
2010/12/20
An algorithm based on Renormalization Group (RG) to analyze time series forecasting was proposed in cond-mat/0110285. In this paper we explicitly code and test it. We choose in particular some financ...
GARCH modelling in continuous time for irregularly spaced time series data
GARCH modelling continuous time irregularly spaced time series data
2010/12/17
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' conce...
Time vs. Ensemble Averages for Nonstationary Time Series
Time Ensemble Averages Nonstationary Time Series
2010/12/17
We analyze the question whether sliding window time averages applied to stationary increment processes converge to a limit in probability. The question centers on averages, correlations, and densities...
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
Log-Normal continuous cascades aggregation properties estimation Application financial time-series
2010/12/17
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. W...
Integration I(d) of Nonstationary Time Series: Stationary and nonstationary increments
Integration Nonstationary Time Series Stationary nonstationary increments
2010/12/17
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression mod...
Testing for the Markov Property in Time Series
Markov property Conditional characteristic function Generalized cross-spectrum Smoothed nonparametric bootstrap
2011/4/6
The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characte...